how to do vector autoregresion?

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Giorgi on 18 Sep 2014
Commented: Giorgi on 18 Sep 2014
Hi all! Well I want to use vector autoregressive model for my case but I do not know exactly which functions should I use. Any idea would be a great help for me.

Answers (1)

Roger Wohlwend
Roger Wohlwend on 18 Sep 2014
If you possess the Econometrics toolbox then the main function is vgxvarx . There is extensive documention in Matlab help about vector autoregressive models. It will tell you what other functions you will need for estimating and assessing the quality of the models.
If do not have Econometrics toolbox then you have to estimate the models with OLS regression yourself.
  1 Comment
Giorgi on 18 Sep 2014
well I have ecnonometrics toolbox and will try it thanks

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